Hi!

My live dows are still open and i use the algo on first page. Strange…

Regards

Henrik

Hi guys

I use v6-1 :

description in the code : Version 6 – last optimization from 15.01.2017

backtest gives me same results as live

Reb

Strange. I have no positions open on DAX :/

Anyone else?

I have 6 long on DAX v6 from Jan 15. 1st opened yesterday at 1pm and the 2nd yesterday at 9pm.

Also 9 long on DOW. Also v6 from Jan 15.

Best regards, David

@ALE

Yes, but I had to restart the system in early February, so I can’t see the performance before that.

I don’t understand such differences

for me dow long  closed on friday  (bad luck)

And I have no dax position opened

@reb

Upload your version here of DOW here.

Best regards, David

@dajvop

I agree for the HS

Here is my dow version

/ Pathfinder Trading System based on ProRealTime 10.2
// Breakout system triggered by previous daily, weekly and monthly high/low crossings with smart position management
// Version 6 - last optimization from 15.01.2017
// Instrument: DOW mini 4H, 9-21 CET, 1.8 points spread, account size 10.000 Euro, from May 2006

// ProOrder code parameter
DEFPARAM CUMULATEORDERS = true  // cumulate orders if not turned off
DEFPARAM PRELOADBARS = 10000

// define intraday trading window
ONCE startTime = 90000
ONCE endTime = 210000

// define instrument signalline with help of multiple smoothed averages
ONCE periodFirstMA = 5
ONCE periodSecondMA = 10
ONCE periodThirdMA = 7

// define filter parameter
ONCE periodLongMA = 130 //160
ONCE periodShortMA = 5

// define position and money management parameter
ONCE positionSize = 1

//Capital = 10000
//Risk = 5 // in %
//equity = Capital + StrategyProfit
//maxRisk = round(equity * Risk / 100)

ONCE stopLossLong = 5.5 // in %
ONCE stopLossShort = 1.5 // in %
ONCE takeProfitLong = 2.5 //1.5 in %
ONCE takeProfitShort = 1.5 // in %

maxPositionSizeLong = 6
maxPositionSizeShort = 6

ONCE trailingStartLong = 1.25 // in %
ONCE trailingStartShort = 1.25 // in %
ONCE trailingStepLong = 0.6 //0.3 in %
ONCE trailingStepShort = 0.6 //0.3 in %

ONCE maxCandlesLongWithProfit = 17  // take long profit latest after x candles
ONCE maxCandlesShortWithProfit = 3  // take short profit latest after x candles
ONCE maxCandlesLongWithoutProfit = 45  //40 limit long loss latest after x candles
ONCE maxCandlesShortWithoutProfit = 11  // limit short loss latest after x candles

// define saisonal position multiplier for each month 1-15 / 16-31 (>0 - long / <0 - short / 0 no trade)
ONCE January1 = 0//0 ok 1
ONCE January2 = 3//2 chance
ONCE February1 = 2//1 chance
ONCE February2 = 2//0 risk(2)
ONCE March1 = 2//0 risk(2) 0
ONCE March2 = 3//2 chance
ONCE April1 = 3//3 ok
ONCE April2 = 3//3 ok
ONCE May1 = 0//3 ok
ONCE May2 = 0//0 ok
ONCE June1 = 2//0 risk(2) 3
ONCE June2 = 2//0 risk(2) 3
ONCE July1 = 3//1 chance ok 1
ONCE July2 = 1//1 ok
ONCE August1 = 0// ok
ONCE August2 = 0// ok
ONCE September1 = 3//0 risk(3)
ONCE September2 = 3//0 risk(3)
ONCE October1 = 0//0 ok
ONCE October2 = 3//3 ok
ONCE November1 = 0//0 ok
ONCE November2 = 3//3 ok
ONCE December1 = 3//3 ok
ONCE December2 = 3//2 chance

// calculate daily high/low (include sunday values if available)
dailyHigh = DHigh(1)
dailyLow = DLow(1)

// calculate weekly high/low
If DayOfWeek < DayOfWeek[1] then
weeklyHigh = Highest[BarIndex - lastWeekBarIndex](dailyHigh)
lastWeekBarIndex = BarIndex
ENDIF

// calculate monthly high/low
If Month[1] <> Month[2] then
//If Month <> Month[1] then
monthlyHigh = Highest[BarIndex - lastMonthBarIndex](dailyHigh)
monthlyLow = Lowest[BarIndex - lastMonthBarIndex](dailyLow)
lastMonthBarIndex = BarIndex
ENDIF

// calculate instrument signalline with multiple smoothed averages
firstMA = WilderAverage[periodFirstMA](close)
secondMA = TimeSeriesAverage[periodSecondMA](firstMA)
signalline = TimeSeriesAverage[periodThirdMA](secondMA)

// save position before trading window is open
If Time < startTime then
startPositionLong = COUNTOFLONGSHARES
startPositionShort = COUNTOFSHORTSHARES
EndIF

// trade only in defined trading window
IF Time >= startTime AND Time <= endTime THEN

// set saisonal multiplier
currentDayOfTheMonth = Date - ((CurrentYear * 10000) + CurrentMonth * 100)
midOfMonth = 15
IF CurrentMonth = 1 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = January1
ELSE
saisonalPatternMultiplier = January2
ENDIF
ELSIF CurrentMonth = 2 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = February1
ELSE
saisonalPatternMultiplier = February2
ENDIF
ELSIF CurrentMonth = 3 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = March1
ELSE
saisonalPatternMultiplier = March2
ENDIF
ELSIF CurrentMonth = 4 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = April1
ELSE
saisonalPatternMultiplier = April2
ENDIF
ELSIF CurrentMonth = 5 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = May1
ELSE
saisonalPatternMultiplier = May2
ENDIF
ELSIF CurrentMonth = 6 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = June1
ELSE
saisonalPatternMultiplier = June2
ENDIF
ELSIF CurrentMonth = 7 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = July1
ELSE
saisonalPatternMultiplier = July2
ENDIF
ELSIF CurrentMonth = 8 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = August1
ELSE
saisonalPatternMultiplier = August2
ENDIF
ELSIF CurrentMonth = 9 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = September1
ELSE
saisonalPatternMultiplier = September2
ENDIF
ELSIF CurrentMonth = 10 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = October1
ELSE
saisonalPatternMultiplier = October2
ENDIF
ELSIF CurrentMonth = 11 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = November1
ELSE
saisonalPatternMultiplier = November2
ENDIF
ELSIF CurrentMonth = 12 THEN
IF currentDayOfTheMonth <= midOfMonth THEN
saisonalPatternMultiplier = December1
ELSE
saisonalPatternMultiplier = December2
ENDIF
ENDIF

// define trading filters
// 1. use fast and slow averages as filter because not every breakout is profitable
f1 = close > Average[periodLongMA](close)
f2 = close < Average[periodLongMA](close)
f3 = close > Average[periodShortMA](close)

// 2. check if position already reduced in trading window as additonal filter criteria
alreadyReducedLongPosition = COUNTOFLONGSHARES  < startPositionLong
alreadyReducedShortPosition = COUNTOFSHORTSHARES < startPositionShort

// long position conditions
l1 = signalline CROSSES OVER monthlyHigh
l2 = signalline CROSSES OVER weeklyHigh
l3 = signalline CROSSES OVER dailyHigh
l4 = signalline CROSSES OVER monthlyLow

// short position conditions
s1 = signalline CROSSES UNDER monthlyHigh
s2 = signalline CROSSES UNDER dailyLow

// long entry with order cumulation
IF ( (l1 OR l4 OR l2 OR (l3 AND f2)) AND NOT alreadyReducedLongPosition) THEN

// check saisonal booster setup and max position size
IF saisonalPatternMultiplier > 0 THEN
IF (COUNTOFPOSITION + (positionSize * saisonalPatternMultiplier)) <= maxPositionSizeLong THEN
BUY positionSize * saisonalPatternMultiplier CONTRACT AT MARKET
ENDIF
ELSIF saisonalPatternMultiplier <> 0 THEN
IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN
BUY positionSize CONTRACT AT MARKET
ENDIF
ENDIF

stopLoss = stopLossLong
takeProfit = takeProfitLong

ENDIF

// short entry without order cumulation
IF NOT SHORTONMARKET AND ( (s1 AND f3) OR  (s2 AND f1) ) AND NOT alreadyReducedShortPosition THEN
// check saisonal booster setup and max position size
IF saisonalPatternMultiplier < 0 THEN
IF (COUNTOFPOSITION + (positionSize * ABS(saisonalPatternMultiplier))) <= maxPositionSizeShort THEN
SELLSHORT positionSize * ABS(saisonalPatternMultiplier) CONTRACT AT MARKET
ENDIF
ELSIF saisonalPatternMultiplier <> 0 THEN
IF (COUNTOFPOSITION + positionSize) <= maxPositionSizeLong THEN
SELLSHORT positionSize CONTRACT AT MARKET
ENDIF
ENDIF

stopLoss = stopLossShort
takeProfit = takeProfitShort

ENDIF

// stop and profit management
posProfit = (((close - positionprice) * pointvalue) * countofposition) / pipsize

numberCandles = (BarIndex - TradeIndex)

m1 = posProfit > 0 AND numberCandles >= maxCandlesLongWithProfit
m2 = posProfit > 0 AND numberCandles >= maxCandlesShortWithProfit
m3 = posProfit < 0 AND numberCandles >= maxCandlesLongWithoutProfit
m4 = posProfit < 0 AND numberCandles >= maxCandlesShortWithoutProfit

// take profit after max candles
IF LONGONMARKET AND (m1 OR m3) THEN
SELL AT MARKET
ENDIF
IF SHORTONMARKET AND (m2 OR m4) THEN
EXITSHORT AT MARKET
ENDIF

// trailing stop function (convert % to pips)
trailingStartLongInPoints = tradeprice(1) * trailingStartLong / 100
trailingStartShortInPoints = tradeprice(1) * trailingStartShort / 100
trailingStepLongInPoints = tradeprice(1) * trailingStepLong / 100
trailingStepShortInPoints = tradeprice(1) * trailingStepShort / 100

// reset the stoploss value
IF NOT ONMARKET THEN
newSL = 0
ENDIF

// manage long positions
IF LONGONMARKET THEN
// first move (breakeven)
IF newSL = 0 AND close - tradeprice(1) >= trailingStartLongInPoints * pipsize THEN
newSL = tradeprice(1) + trailingStepLongInPoints * pipsize
stopLoss = stopLossLong * 0.1
takeProfit = takeProfitLong * 2
ENDIF
// next moves
IF newSL > 0 AND close - newSL >= trailingStepLongInPoints * pipsize THEN
newSL = newSL + trailingStepLongInPoints * pipsize
ENDIF
ENDIF

// manage short positions
IF SHORTONMARKET THEN
// first move (breakeven)
IF newSL = 0 AND tradeprice(1) - close >= trailingStartShortInPoints * pipsize THEN
newSL = tradeprice(1) - trailingStepShortInPoints * pipsize
ENDIF
// next moves
IF newSL > 0 AND newSL - close >= trailingStepShortInPoints * pipsize THEN
newSL = newSL - trailingStepShortInPoints * pipsize
ENDIF
ENDIF

// stop order to exit the positions
IF newSL > 0 THEN
IF LONGONMARKET THEN
SELL AT newSL STOP
ENDIF
IF SHORTONMARKET THEN
EXITSHORT AT newSL STOP
ENDIF
ENDIF

// superordinate stop and take profit
SET STOP %LOSS stopLoss
SET TARGET %PROFIT takeProfit

ENDIF